q.46

Given the risk and return of two risky assets, the risk-free rate, the correlation coefficient between the two risk assets, as well as the optimal portfolio weight of one of the risky assets, calculate the standard deviation of a portfolio that invest 50% in the risk-free rate Rf and 50% in the optimal risky portfolio: Input Data E/RB) E(R) 8 Correlation coefficient PAB 0.30 E(R) 20 6 2 Assume the Optimal Risky Portfolio (O) has the following weights Wo-.80 WA- 3.56% 13.00% 5.67% 1.42% None of the answers is correct